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From |
Xixi Lin <winnielxx@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to test heterokedasticity for 120 periods |

Date |
Wed, 20 Feb 2013 10:12:17 -0500 |

Thanks Nick On Wed, Feb 20, 2013 at 5:02 AM, Nick Cox <njcoxstata@gmail.com> wrote: > Like Roberto, I don't know why you are doing this, but I do wonder > what the strategy is here. > > Roberto sketches out code for what you ask, but what are you going to > with all the test results? > > 1. With 120 tests, some fraction is going to show up as significant at > conventional levels, even if the null is always right. This problem is > widely discussed under various headings, one of which is multiplicity. > > 2. If some tests come out significant and the rest not, what do you > intend to do? > > 3. Even if cross-sectional regressions make sense, the pattern of > results over time has to make sense too. > > 4. Heteroscedasticity could mean different things, most obviously > outliers as well as more systematic inconstancy of variance. The test > results are going to be silent on why it occurs. > > I'd -collapse- the data to period, mean of response and variance of > response, look at that as time series and as a scatter plot. It might > well be that such exploration exposes the need for some transformation > or link function and that side-steps all that *scedasticity stuff. > Most simply, it may even be that working on a logarithmic scale makes > more sense. Of course, you could be in a field that regards looking at > the data as strange or suspect. > > Nick > > On Wed, Feb 20, 2013 at 7:57 AM, Roberto Liebscher > <roberto.liebscher@ku.de> wrote: > >> although I do not know exactly but why are you testing for >> heteroskedasticity for each period separately (Is it appropriate in your >> case to estimate your model for each period subsample separately?) you could >> loop over the regressions using a command like this >> >> forval i = num1/num2 { >> quietly reg depvar indepvar if period == `i' >> quietly estat hettest >> display "Period " "`i'" >> display `r(p)' >> } >> >> If you want to conduct an ANOVA for the period groups this link might be >> helpful: >> http://www.stata.com/capabilities/anova-ancova/ > > Xixi Lin [edited] > >>> I am trying to test test heteroskedasticity for 120 periods. I randomly >>> tested for 3 periods, using White tests, and the result shows it is >>> homoskedasticity. But I want to make sure that all 120 periods show >>> homoskedasticity. Does anyone knows how to write a loop to test it? As >>> a result, I hope it tells me which period or if any periods are not >>> homoskedastic. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: How to test heterokedasticity for 120 periods***From:*Xixi Lin <winnielxx@gmail.com>

**Re: st: How to test heterokedasticity for 120 periods***From:*Roberto Liebscher <roberto.liebscher@ku.de>

**Re: st: How to test heterokedasticity for 120 periods***From:*Nick Cox <njcoxstata@gmail.com>

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